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Do the green bonds overreact to the COVID-19 pandemic?
16 references·1 citing·35 second hop
Do the green bonds overreact to the COVID-19 pandemic? (2022)Do the green bonds overreact to the COVID…COVID-19 and time-frequency connectedness between green and conventional financial markets (2021)COVID-19 and time-frequency c…Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds (2020)Time-frequency comovement amo…The Unprecedented Stock Market Reaction to COVID-19 (2020)The Unprecedented Stock Marke…How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)How COVID-19 drives connected…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Economic uncertainty before and during the COVID-19 pandemic (2020)Economic uncertainty before a…Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade (2019)Time-varying relation between…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)On the application of the dyn…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis (2023)How reactive is investment in…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Measuring Economic Policy Uncertainty* (2016)COVID-Induced Economic Uncertainty (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2020The Unprecedented Stock Market Reaction to COVID-191,514 cited
  • 2020Economic uncertainty before and during the COVID-19 pandemic989 cited
  • 2020Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds453 cited
  • 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques397 cited
  • 2019Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade

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337 cited
  • 2007On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios294 cited
  • 2021COVID-19 and time-frequency connectedness between green and conventional financial markets256 cited
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    • 2023How reactive is investment in US green bonds and ESG-eligible stocks in times of crisis? Exploring the COVID-19 crisis28 cited